Pricing of American Timer Options
The study provides analytic formulas for American timer option prices under stochastic volatility, using a finite stochastic variance clock as a time-to-maturity measure.
Featured in No. 54 on 20 Jun 2024 · 6 days after release
- Released
- 14 Jun 2024
- First featured
- No. 54 · 20 Jun 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4865854
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